Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with the Covid-19 Shutdown

Robert Hill (), Michael Scholz (), Chihiro Shimizu () and Miriam Steurer ()
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Michael Scholz: University of Graz, Austria
Chihiro Shimizu: University of Tokyo, Japan
Miriam Steurer: University of Graz, Austria

No 2020-14, Graz Economics Papers from University of Graz, Department of Economics

Abstract: The rolling-time-dummy (RTD) method is used by a number of countries to compute their official house price indexes (HPIs), since it requires less data and is more flexible than other hedonic methods. These features also make it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this paper we address three key issues relating to the RTD hedonic method. First, we develop a method for determining the optimal length of the rolling window. Second, we consider variants on the standard way of linking the current period with earlier periods, and show how the optimal linking method can be determined. Third, we propose three ways of modifying the RTD method to make it robust to the distorting effects of the covid-19 shutdown. These modifications could prove useful for countries using the RTD method in their official HPIs.

Keywords: House price index; Hedonic quality adjustment; Optimal window length; Optimal chain linking; Higher frequency indexes; Covid-19 shutdown. (search for similar items in EconPapers)
JEL-codes: C43 E31 R31 (search for similar items in EconPapers)
Date: 2020-08
New Economics Papers: this item is included in nep-mac and nep-ure
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Citations: View citations in EconPapers (3)

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